Look at 'additional options' listed under the message reply box and make sure the box is checked beside 'save a copy of this message in sent folder'
Additional Options <fieldset class="fieldset"> <legend>Miscellaneous Options</legend> <label for="cb_receipt"><input name="receipt" value="1" id="cb_receipt" type="checkbox">Request a read receipt for this message</label>
<label for="cb_savecopy"><input name="savecopy" value="1" id="cb_savecopy" tabindex="1" checked="checked" type="checkbox">Save a copy of this message in your
Sent Items folder.</label>
<label for="cb_signature"><input name="signature" value="1" id="cb_signature" tabindex="1" checked="checked" type="checkbox">Show your signature</label>
<label for="cb_parseurl"><input name="parseurl" value="1" id="cb_parseurl" tabindex="1" checked="checked" type="checkbox">Automatically parse links in text</label>
<label for="cb_disablesmilies"><input name="disablesmilies" value="1" id="cb_disablesmilies" tabindex="1" type="checkbox">Disable smilies in text</label>
</fieldset>